Ferrovial (Spain) Market Value
FER Stock | EUR 37.10 0.42 1.15% |
Symbol | Ferrovial |
Ferrovial 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Ferrovial's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Ferrovial.
02/27/2024 |
| 03/28/2024 |
If you would invest 0.00 in Ferrovial on February 27, 2024 and sell it all today you would earn a total of 0.00 from holding Ferrovial or generate 0.0% return on investment in Ferrovial over 30 days. Ferrovial is related to or competes with Airbus Group, Banco Bilbao, Caixabank, and Cellnex Telecom. Ferrovial, S.A., together with its subsidiaries, operates as an infrastructure operator and municipal services company w... More
Ferrovial Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Ferrovial's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Ferrovial upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 1.27 | |||
Information Ratio | 0.0577 | |||
Maximum Drawdown | 6.68 | |||
Value At Risk | (1.67) | |||
Potential Upside | 2.24 |
Ferrovial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ferrovial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ferrovial's standard deviation. In reality, there are many statistical measures that can use Ferrovial historical prices to predict the future Ferrovial's volatility.Risk Adjusted Performance | 0.1013 | |||
Jensen Alpha | 0.1438 | |||
Total Risk Alpha | (0.07) | |||
Sortino Ratio | 0.053 | |||
Treynor Ratio | 0.4995 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ferrovial's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Ferrovial Backtested Returns
We consider Ferrovial very steady. Ferrovial secures Sharpe Ratio (or Efficiency) of 0.16, which denotes the company had a 0.16% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Ferrovial, which you can use to evaluate the volatility of the firm. Please confirm Ferrovial's Mean Deviation of 0.8488, downside deviation of 1.27, and Coefficient Of Variation of 577.88 to check if the risk estimate we provide is consistent with the expected return of 0.19%. Ferrovial has a performance score of 12 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.38, which means possible diversification benefits within a given portfolio. As returns on the market increase, Ferrovial's returns are expected to increase less than the market. However, during the bear market, the loss of holding Ferrovial is expected to be smaller as well. Ferrovial right now shows a risk of 1.19%. Please confirm Ferrovial sortino ratio, potential upside, skewness, as well as the relationship between the maximum drawdown and semi variance , to decide if Ferrovial will be following its price patterns.
Auto-correlation | 0.46 |
Average predictability
Ferrovial has average predictability. Overlapping area represents the amount of predictability between Ferrovial time series from 27th of February 2024 to 13th of March 2024 and 13th of March 2024 to 28th of March 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Ferrovial price movement. The serial correlation of 0.46 indicates that about 46.0% of current Ferrovial price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.46 | |
Spearman Rank Test | 0.35 | |
Residual Average | 0.0 | |
Price Variance | 0.13 |
Ferrovial lagged returns against current returns
Autocorrelation, which is Ferrovial stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Ferrovial's stock expected returns. We can calculate the autocorrelation of Ferrovial returns to help us make a trade decision. For example, suppose you find that Ferrovial has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
Timeline |
Ferrovial regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Ferrovial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ferrovial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ferrovial stock over time.
Current vs Lagged Prices |
Timeline |
Ferrovial Lagged Returns
When evaluating Ferrovial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ferrovial stock have on its future price. Ferrovial autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Ferrovial autocorrelation shows the relationship between Ferrovial stock current value and its past values and can show if there is a momentum factor associated with investing in Ferrovial.
Regressed Prices |
Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Ferrovial in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Ferrovial's short interest history, or implied volatility extrapolated from Ferrovial options trading.
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectCheck out Ferrovial Correlation, Ferrovial Volatility and Ferrovial Alpha and Beta module to complement your research on Ferrovial. You can also try the Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
Complementary Tools for Ferrovial Stock analysis
When running Ferrovial's price analysis, check to measure Ferrovial's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Ferrovial is operating at the current time. Most of Ferrovial's value examination focuses on studying past and present price action to predict the probability of Ferrovial's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Ferrovial's price. Additionally, you may evaluate how the addition of Ferrovial to your portfolios can decrease your overall portfolio volatility.
Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
Global Correlations Find global opportunities by holding instruments from different markets | |
Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
Stock Tickers Use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites | |
CEOs Directory Screen CEOs from public companies around the world | |
Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios | |
Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets | |
Stocks Directory Find actively traded stocks across global markets | |
Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
Investing Opportunities Build portfolios using our predefined set of ideas and optimize them against your investing preferences | |
Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. |
Ferrovial technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.